Phycocyanin is a blue fluorescent protein with multi-bioactive functions. However, the multi-bioactivities and spectral stability of phycocyanin are susceptible to external environmental conditions, which limit its wide application. Here, the structure, properties, and biological activity of phycocyanin were discussed. This review highlights the significance of the microcapsules’ wall materials which commonly protect phycocyanin from environmental interference and summarizes the current preparation principles and characteristics of microcapsules in food and pharma industries, including spray drying, electrospinning, electrospraying, liposome delivery, sharp-hole coagulation baths, and ion gelation. Moreover, the major technical challenge and corresponding countermeasures of phycocyanin microencapsulation are also appraised, providing insights for the broader application of phycocyanin.